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Re: [Quantlib-dev] FW: SABR regression
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From: Peter C. <pca...@gm...> - 2014-11-18 08:33:41
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yes, please send an example (otherwise I could already take the one from the excel you sent earlier ? or was that made up ?). In addtion I think I should add a technical test like for random input x - y = direct(x) generates admissable values - direct( inverse( y ) ) = y for sabr, noarbsabr, zabr and svi. What do you think ? Peter On 17 November 2014 20:07, Ferdinando M. Ametrano <na...@am...> wrote: > Thank you Peter for the timely fix. > > One takeaway is to create a unit test to check for possible future > regressions. > Do you have a relevant dataset from some paper to suggest? If not, I could > provide a snapshot of current euro caplets. > On Nov 17, 2014 7:40 PM, "MAZZOCCHI PAOLO" < > pao...@es...> wrote: > >> Hi Peter, >> >> I tested your modifications and they work properly. The results are in >> line with the ones obtained using QL 1.2. >> >> Anyway, the details (forward and time to expiry) are written in the excel >> file attached in the previous email. >> >> >> >> time >> >> fwd >> >> 0.1342 >> >> 1.1075% >> >> 0.3833 >> >> 1.1025% >> >> >> >> Thank you very much for your help. >> >> >> >> Paolo >> >> >> >> *Paolo Mazzocchi* >> >> *Deloitte Consulting Srl* >> >> consulente di >> >> *FINANCIAL ENGINEERING - Banca IMI* >> >> Tel: 02-72615029 Int: 35029 >> >> *pao...@es... <pao...@es...>* >> >> >> >> *From:* Peter Caspers [mailto:pca...@gm...] >> *Sent:* Monday, November 17, 2014 7:00 PM >> *To:* Ferdinando M. Ametrano >> *Cc:* maz...@li...; QuantLib Mailing Lists; maddalena zanzi >> *Subject:* Re: [Quantlib-dev] FW: SABR regression >> >> >> >> Hi Ferdinando, >> >> I pushed a fix here (effectively it should yield the same results as the >> file attached earlier) >> >> https://github.com/lballabio/quantlib/pull/170 >> >> As far as I remember the reason for the change in the transformation >> function (for 1.3 or 1.4 ?) were nan / inf values occuring from time to >> time in the calibration. This is why I replaced the parabolas by truncated >> parabolas with linear wings (such that the result is C^1). >> >> If you feel that your test case is still working better in 1.2, could you >> please send some more details (forward, time to expiry), I'd be happy to >> discuss again then. >> >> >> >> Best regards >> Peter >> >> >> >> On 17 November 2014 13:25, Peter Caspers <pca...@gm...> wrote: >> >> Hi Ferdinando, >> >> one problem is the transformation function direct(...) which is buggy for >> alpha and nu. Can you try the attached version instead and see if it works >> better ? >> >> I'd like to have a closer look and try on more cases before I send a PR >> though. >> >> Thanks >> >> Peter >> >> >> >> On 17 November 2014 12:06, Ferdinando M. Ametrano <na...@am...> >> wrote: >> >> Hi Peter >> >> >> >> SABR implementation on the current trunk has a regression compared with >> QuantLib 1.2.1 >> >> >> >> While trying to calibrate problematic smiles as: >> >> >> >> strike >> >> 1.00% >> >> 1.13% >> >> 1.25% >> >> 1.38% >> >> 1.50% >> >> vol1 >> >> 23.20% >> >> 20.25% >> >> 31.21% >> >> 39.02% >> >> 50.45% >> >> vol2 >> >> 16.67% >> >> 20.20% >> >> 27.85% >> >> 32.79% >> >> 37.27% >> >> >> >> 1.2.1 was able to offer these (non-optimal but decent) solutions: >> >> >> >> max error >> >> rms error >> >> end criteria >> >> alpha >> >> beta >> >> nu >> >> rho >> >> 1.79% >> >> 0.94% >> >> StationaryPoint >> >> 0.58% >> >> 25.00% >> >> 346.03% >> >> 34.19% >> >> 0.65% >> >> 0.43% >> >> StationaryPoint >> >> 0.62% >> >> 25.00% >> >> 193.97% >> >> 63.66% >> >> >> >> >> >> the current trunk instead fails for the second smile with error >> "qlSABRInterpolationAlpha - nu must be non negative: -124.897 not allowed". >> >> >> >> If one tries to just use the four leftmost volatilities to simplify the >> problem, both calibrations fail with the same error. This leads me to >> believe the problem is about the solver looking for a solution in the >> negative nu region. If this is the case it could be solved having a >> positive constraint for nu. Do you agree? Could you please look into it? >> >> >> >> Please find attached a spreadsheet reproducing the error. We might even >> want to add a non regression test to the test suite. >> >> >> >> thank you for your help >> >> >> >> regards >> >> F >> >> >> >> >> >> >> Prima di stampare, pensa all'ambiente ** Think about the environment >> before printing >> >> ------------------------------ >> >> Il presente messaggio, inclusi gli eventuali allegati, ha natura >> aziendale e potrebbe contenere informazioni confidenziali e/o riservate. >> Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il >> mittente e di cancellarlo. >> E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o >> diffusione non autorizzata del contenuto di questo messaggio o di parte di >> esso. >> Pur essendo state assunte le dovute precauzioni per ridurre al minimo il >> rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni >> controlli sui documenti allegati al presente messaggio. 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